I understand that a stout can be a tough first beer, but I still dont want to be dissapointed. One of my favorites is the Bourbon County Stout from Goose Island. I'm pretty sure I can't do that on a first brew but I do want a thick and still high alcohol stout... Sooo... My question is how do I finish with a thick stout? I'm brewing Monday

Are you brewing All Grain or Extract? If extract you can add lactose or dextrin to the boil. If you're doing all grain increase your mash temperature. This will produce a wort that has far more unfermentable sugars in it. As for the difficulty of stout, I find it one of the easiest to make, because if you go dark enough you don't have to worry so much about clarity and the roast grains hide a lot of flavor errors. It can be easy to ruin a pale ale or IPA but I find stouts pretty bullet proof.

Stouts are easy in the sense that they hide mistakes but as a new brewer I do remember being slightly disappointed with the body of my homebrewed stouts. The advice above is good with oats, lactose and a higher mash temp if all grain. I'd also through one in there which is yeast. You could pick a lower attenuating yeast to leave behind some more sugars which aid to body. I have a friend who brewed an oatmeal stout kit with US-05 for yeast and it chewed through everything possible leaving a tasty but lighter bodied oatmeal stout than they wanted.

Yeah, you have to mash oatmeal with some base grains for the enzymes. You could do a mini-mash, but since this is your first brew I would just leave the oatmeal out and stick with steeping specialty grains. If you want a thicker and higher alcohol finished beer, just increase your OG. Extracts have plenty of unfermentables in them so they will leave you with a thicker and sweeter beer whether you want it or not (luckily you do for this beer). I would say an OG anywhere between 1.070 and 1.090 would get you what you want. You could always add lactose in the last minutes of the boil and make it a milk stout. Yeast can't ferment lactose so by adding it you are solely adding thickness and gravity points to the finished beer. Good luck on your first brew!

So when do I use the oatmeal, do I steep it or just throw it in when I boil the extracts.

Unless you want to try a partial mash you won't be able to get anything good from the oats. Either use the lactose of dextrine additions. They are available in the LHBS or online. Use lactose if you want a milk stout since the lactose is unfermentable milk sugars. This is the one I would recommend if you want body and a nice mouthfeel. Nothing beats a nice Milk Stout IMHO.